The Price of the Smile and Variance Risk Premia
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DOI: 10.1287/mnsc.2020.3689
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Cited by:
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
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Keywords
price of the smile; price of volatility; factor models; matrix jump diffusions; option pricing; stochastic volatility; unspanned skewness; financial constraints; financial intermediation; financial crisis; variance swaps; skew swaps;All these keywords.
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